HDEst                package:fractal                R Documentation

_H_u_r_v_i_c_h-_D_e_o _e_s_t_i_m_a_t_e _o_f _n_u_m_b_e_r _o_f _f_r_e_q_u_e_n_c_i_e_s _t_o _u_s_e _i_n _a _p_e_r_i_o_d_o_g_r_a_m _r_e_g_r_e_s_s_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     Estimates the number of frequencies to use in a periodogram
     regression estimate of the Hurst parameter H of a long memory time
     series. Based on estimated spectrum of time series.

_U_s_a_g_e:

     HDEst(NFT, sdf, A=0.3, delta=6/7)

_A_r_g_u_m_e_n_t_s:

     NFT: number of points used in the Fourier transform to generate
          the spectrum.

     sdf: estimate of the spectrum of the time series (power, NOT dB).

       A: parameter A of Hurvich-Deo model. Default: '0.3'
          (recommended).

   delta: parameter delta of Hurvich-Deo model. Default: '6/7'
          (recommended).

_V_a_l_u_e:

     estimated optimum number of frequencies "m" to use in a
     periodogram regression estimate of the Hurst parameter H.

_R_e_f_e_r_e_n_c_e_s:

     C.M. Hurvich and R.S. Deo (1999), Plug-in Selection of the Number
     of Frequencies in Regression Estimates of the Memory Parameter of
     a Long Memory Time Series, _J. Time Series Analysis_, *20*(3),
     331-341.

_S_e_e _A_l_s_o:

     'hurstBlock'.

_E_x_a_m_p_l_e_s:

     S <- SDF(beamchaos)
     HDEst(NFT=length(S),as.vector(S))

